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YouTube T5-03: Expected shortfall: approximating continuous, with code

Nicole Seaman

Director of FRM Operations
Staff member
In our previous video, we showed how we retrieve expected shortfall under the simplest possible discrete case. That was a simple historical simulation, but that was discrete. In this video, we will review the expected shortfall when the distribution is continuous. Specifically, we will use the normal distribution, but you'll see when we look at the code that we can substitute other parametric or analytical distributions for that.

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